def control_in_p(self, bar):
try:
for k in self.spread_dict.keys():
s0 = self.spread_dict[k][0]
s1 = self.spread_dict[k][1]
if s0 not in self.got_dict or s1 not in self.got_dict:
continue
if self.got_dict[s0] and self.got_dict[
s1] and self.process_dict[k] == False:
self.process_dict[k] = True
s0 = self.signalDict[s0][0]
s1 = self.signalDict[s1][0]
bar_s = VtBarData()
bar_s.vtSymbol = k
bar_s.symbol = k
bar_s.exchange = s0.bar.exchange
bar_s.date = s0.bar.date
bar_s.time = s0.bar.time
bar_s.close = s0.bar.close - s1.bar.close
bar_s.AskPrice = s0.bar.AskPrice - s1.bar.BidPrice
bar_s.BidPrice = s0.bar.BidPrice - s1.bar.AskPrice
# print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)
self.engine.lock.acquire()
self.engine.bar_list.append(bar_s)
self.engine.lock.release()
except Exception as e:
s = traceback.format_exc()
to_log(s)
def control_in_p(self, bar):
try:
for k in self.spread_dict.keys():
s0 = self.spread_dict[k][0]
s1 = self.spread_dict[k][1]
if s0 not in self.got_dict or s1 not in self.got_dict:
continue
if self.got_dict[s0] and self.got_dict[
s1] and self.process_dict[k] == False:
self.process_dict[k] = True
s0 = self.bar_dict[s0]
s1 = self.bar_dict[s1]
bar_s = VtBarData()
bar_s.vtSymbol = k
bar_s.symbol = k
bar_s.exchange = s0.exchange
bar_s.date = s0.date
bar_s.time = s0.time
bar_s.close = s0.close - s1.close
bar_s.AskPrice = s0.AskPrice - s1.BidPrice
bar_s.BidPrice = s0.BidPrice - s1.AskPrice
# print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)
df = pd.DataFrame([bar_s.__dict__])
cols = [
'date', 'time', 'open', 'high', 'low', 'close',
'volume'
]
df = df[cols]
fname = get_dss() + 'fut/bar/min1_' + k + '.csv'
if os.path.exists(fname):
df.to_csv(fname, index=False, mode='a', header=False)
else:
df.to_csv(fname, index=False, mode='a')
return bar_s
except Exception as e:
s = traceback.format_exc()
to_log(s)
return None
